论文标题
基于风险（ICVAR）和经验分析的间隔值条件值的投资组合选择模型
Portfolio selection models based on interval-valued conditional value at risk (ICVaR) and empirical analysis
论文作者
论文摘要
风险管理对个人投资者或公司非常重要。有很多方法可以衡量投资风险。由于财务市场的复杂性，风险资产的价格迅速而随机变化。随机间隔是描述随机性和不精确性的不确定性的好工具。考虑到金融市场的不确定性，我们采用随机间隔来描述风险资产的回报并考虑尾巴风险，这被称为风险的间隔价值条件价值（简称ICVAR）。这样的ICVAR是一种风险措施，并满足了亚热。在新的风险度量ICVAR下，作为类似于Markowitz经典投资组合模型的方式，建立了最佳的间隔价值投资组合选择模型。根据中国大陆股票市场的真实数据，该案例研究表明，我们的模型可解释，并且与实际情况一致。
Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a good tool to describe uncertainty with both randomness and imprecision. Considering the uncertainty of financial market, we employ random intervals to describe the returns of a risk asset and consider the tail risk, which is called the interval-valued Conditional Value at Risk (ICVaR, for short). Such an ICVaR is a risk measure and satisfies subadditivity. Under the new risk measure ICVaR, as a manner similar to the classical portfolio model of Markowitz, optimal interval-valued portfolio selection models are built. Based on the real data from mainland Chinese stock market, the case study shows that our models are interpretable and consistent with the practical scenarios.
